Estimating unknown arbitrage costs : evidence from a 3-regime threshold vector error correction model
Year of publication: |
2020
|
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Authors: | Ters, Kristyna ; Urban, Jörg |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 47.2020, p. 1-14
|
Subject: | Arbitrage | Error correction | Regime switch | Threshold | Transaction cost | Kointegration | Cointegration | Transaktionskosten | Transaction costs | Schätzung | Estimation | Schätztheorie | Estimation theory |
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